Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1033
Annualized Std Dev 0.3221
Annualized Sharpe (Rf=0%) -0.3207

Row

Daily Return Statistics

Close
Observations 4022.0000
NAs 1.0000
Minimum -0.2167
Quartile 1 -0.0077
Median 0.0000
Arithmetic Mean -0.0002
Geometric Mean -0.0004
Quartile 3 0.0081
Maximum 0.2658
SE Mean 0.0003
LCL Mean (0.95) -0.0009
UCL Mean (0.95) 0.0004
Variance 0.0004
Stdev 0.0203
Skewness -0.0082
Kurtosis 20.9131

Downside Risk

Close
Semi Deviation 0.0146
Gain Deviation 0.0156
Loss Deviation 0.0168
Downside Deviation (MAR=210%) 0.0191
Downside Deviation (Rf=0%) 0.0147
Downside Deviation (0%) 0.0147
Maximum Drawdown 0.9333
Historical VaR (95%) -0.0286
Historical ES (95%) -0.0501
Modified VaR (95%) -0.0251
Modified ES (95%) -0.0251
From Trough To Depth Length To Trough Recovery
2008-02-29 2020-03-18 NA -0.9333 3288 3034 NA
2007-07-16 2007-08-16 2007-09-21 -0.2316 49 24 25
2006-05-10 2006-06-13 2006-11-24 -0.1688 139 24 115
2007-10-19 2007-11-19 2008-01-03 -0.1258 52 22 30
2008-01-11 2008-01-23 2008-02-28 -0.1138 33 8 25

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA 0.1 0 2.2 0.7 0 2.4 -0.2 -0.3 1.5 1 7.6
2006 0.4 1.8 -1.1 0.1 -4.2 1.2 0.7 0.9 0 -0.6 0 -0.7 -1.6
2007 -0.5 -0.7 -0.7 -1.1 1.5 -0.1 -3.6 1.2 1.8 -2.7 -0.1 1.5 -3.6
2008 -1.1 -2.3 0.4 -1 1.2 1.4 -0.5 0.2 -0.8 4.9 -19.4 -0.8 -18.1
2009 2.4 -1.8 0.4 6.2 3.9 1 0.4 -1.1 -0.3 0.5 1.1 -0.4 12.9
2010 -0.3 0.6 1.2 -0.1 -1.5 -3.2 0.4 0.1 0.2 0.6 0.5 1.7 0.2
2011 1 0.5 -0.1 0.6 -0.6 0.5 0.8 -0.6 -2.9 -2 2.2 1.1 0.4
2012 -0.2 1.2 0.8 -0.1 0.4 2.4 -0.9 0.1 1 0.4 -0.3 1.3 6.4
2013 0.2 -0.6 -0.4 -0.7 0 1.7 -0.6 -0.6 -0.6 -0.5 1.9 0.8 0.7
2014 -0.1 0.8 0 -0.8 -0.6 1.1 1.9 0.3 0.9 -3.3 -1.6 2.8 1.2
2015 1.4 0.5 1.4 1.5 -0.3 -1.1 -0.8 -1.7 -1.8 3.5 2.2 0 4.8
2016 2.3 -0.8 -2.3 4.7 -0.3 0.8 0.6 0 0 1.1 -0.2 -1.5 4.4
2017 0.7 2.7 0.3 -0.3 0.5 -1.1 -1.2 0.4 0.2 0.9 0.7 0.4 4.1
2018 -0.2 -0.8 0.4 -0.6 0.8 1.2 -0.2 0.2 0.1 2.2 1.8 -0.5 4.4
2019 0.9 -0.5 -0.9 0 0.2 0.4 -0.2 0.1 -0.5 0 0.7 0.7 1
2020 0 -3.5 -0.4 0 1.5 -1.5 0.8 -0.8 0.6 0.6 2.4 -0.6 -1
2021 2 1.2 1.2 NA NA NA NA NA NA NA NA NA 4.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-03-29  20.0 SPY    117. -0.0066   -0.0133  -0.0404  -0.0331   0.0495   0.0171   -0.219 GLD    42.6  0.0005   -0.0123
2 2005-03-30  20   SPY    118.  0.0142    0.0109  -0.0203  -0.0248   0.0496   0.032    -0.213 GLD    42.6  0.00120  -0.0009
3 2005-03-31  20   SPY    118. -0.0019    0.0082  -0.027   -0.028    0.0442   0.0296   -0.226 GLD    42.8  0.0049    0.0094
4 2005-04-01  20.0 SPY    117. -0.0045    0.0025  -0.0309  -0.0305   0.0383   0.0306   -0.235 GLD    42.6 -0.0047    0.0054
5 2005-04-04  20.0 SPY    118.  0.0017    0.0027  -0.0296  -0.0268   0.0338   0.0397   -0.226 GLD    42.4 -0.0052   -0.0033
6 2005-04-05  20   SPY    118.  0.00480   0.0142  -0.037   -0.0175   0.031    0.049    -0.218 GLD    42.4  0.00120  -0.0026
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart